From Glitch City Laboratories

The Walking Pikachu orange box curiosity occurs in Pokémon Yellow. If the player talks to the walking Pikachu in a dark place (Rock Tunnel only without the play the Safari Zone in the dark glitch, then it will have an orange box surrounding it they are playing the game in Game Boy Color mode or Super Game Boy mode. The orange box doesn't appear if the player used Flash to brighten up the place.